CV Curriculum Vitae

Dr. Marwan Abdu Izzeldin

SKILLS

Application	Version	Usage	Skill Level
S-Plus	7.0	Statistical Programming & Financial Modeling.	Advanced
SPSS	13.0	Data Mining and Aggregation.	Intermediate
E-views	4.1	General Data Analysis.	Advanced
TSP	4.5	General Data Analysis.	Advanced
Ox-metrics	3.3	Programs involving matrices.	Intermediate
Scientific Work Place	5.0	Scientific Typing.	Advanced

EDUCATION

Current	Lecturer in Economics and Econometrics, Lancaster University.
2004	Ph.D. in Finance Cass Business School, City University London, UK Ph.D. Title: On Testing the validity of the Mixture of Distribution Hypothesis (MDH) Model in High Frequency Financial Returns. “The thesis investigates the validity of the MDH model in representing the distribution of high frequency stock returns which adds to more understanding of the following: a) Return heteroskedasticity which is a widely researched area but reasons for its existence are poorly understood in theory.(market failure or liquidity problems? b) Persistence in return volatility which presents problems for current asset pricing models. c) Understanding the role of volume which could have implications about the costs and benefits of speculative trades and the desirability of market regulations such as circuit breakers. d) Proposes a role for volume in asset pricing models. e) Understanding the joint distribution between volume and returns would improve the power of event studies and tests for return predictability. f) Understanding the estimation problems underlying models of partial observability.
1998-1999	MA in Economics, University College Dublin Dublin, Ireland Overall Result: 1^st Subjects: Microeconomics, Macroeconomics, Econometrics I, Econometrics II, Applied Econometrics and Quantitative Techniques. MA Thesis Title: “Bootstrapping the Small Sample Distribution of the R/S Statistic” Thesis has been presented as a paper at the Irish Economic Association, and has been published.
1997-1998	Higher Diploma in Economic Science, University College Dublin Dublin, Ireland Overall Result: 1^st Subjects: Microeconomics, Macroeconomics, Econometrics, Quantitative Techniques, and International Economics
1993-1996	B.Sc. in Economics and Political Science, University of Khartoum Khartoum, Sudan Overall Result: 2:1
1993	Ist Year at the School of Mathematical Sciences University of Khartoum Khartoum, Sudan Overall Result: 2:1 Subjects: Pure Mathematics, Applied Mathematics, Physics and Chemistry

WORK EXPERIENCE

10/2000 - 2004	Financial Econometrics Research Center Cass Business School, City University London, UK The Financial Econometric Research Center is known for its leading-edge research in the area of Financial Econometrics. My role included spearheading complex research projects and lecturing Econometrics at the Master’s level. My research interests lies in the areas of Time Scaling, Stochastic Volatility, Realized Volatility and the use of Bootstrap Methods. Applied research carried within the center for private clients include a) Modeling forward prices and estimation of stochastic volatility model for electricity prices following the de-regulation of the energy market in the U.S. b) Cross-country estimation of Income differentials using panel data. c) Testing for structural breaks and co-integration using pre-post war data on income and consumption. Researcher and Visiting Lecturer As a visiting lecturer I was awarded a certificate of teaching excellence for lecturing Econometrics for the Banking and International Finance (BIF) course for 3 consecutive years. I also conducted E-views sessions.
03/2000 - 04/2000	Merrill Lynch Bahrain, Manama Financial Assistant Internship with Merrill Lynch for a period of two months. Main activities included: Assisting the financial consultants with the maintenance of their accounts, training on Merrill Lynch internal systems, learning and utilizing the Bloomberg and Reuters Financial Markets News systems.
09/1998 – 06/1999	University College Dublin Dublin, Ireland Econometrics Tutor My duties included tutoring students at the Bachelor level, conducting lab sessions and marking exams.

PUBLICATIONS

“Bootstrapping the Small Sample Critical Values of the Re-scaled Range Statistic”, (with Anthony Murphy), The Economic and Social Review, Vol.31, No.4, October, 2000, pp.351-359.

“A guided Tour of TSMod 4.03”, (with Anthony Murphy, and Ana-Maria Fuertes), Forthcoming in the Journal of Applied Econometrics.

TRANING

1) Easter School in Econometrics, Nuffield College, Oxford University, 7-11^th of April 2001.

2) Financial Modeling in S-PLUS, London, 20-24^th of July 2001.

3) SIRIF/ESRC Postgraduate Training Modules in Finance, Lancaster University, 16-20^th of December 2002.